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*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 14 Dec 2009 06:07:18 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/14/t1260796399uerzff4tvnwaw0l.htm/, Retrieved Mon, 14 Dec 2009 14:13:21 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Dec/14/t1260796399uerzff4tvnwaw0l.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22160 20664.3 17877.4 20906.5 21164.1 21374.4 22952.3 21343.5 23899.3 22392.9 18274.1 22786.7 22321.5 17842.2 16373.5 15993.8 16446.1 17729 16643 16196.7 18252.1 17570.4

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.322076	-2.4529	0.0086
2	-0.290326	-2.2111	0.015494
3	0.150722	1.1479	0.127869
4	0.094362	0.7186	0.237623
5	-0.11169	-0.8506	0.199244
6	0.150809	1.1485	0.127733
7	-0.269987	-2.0562	0.022138
8	0.276662	2.107	0.019727
9	-0.035236	-0.2683	0.394692
10	-0.283073	-2.1558	0.017629
11	-0.069146	-0.5266	0.30024
12	0.48426	3.688	0.00025
13	-0.143033	-1.0893	0.140262
14	-0.213384	-1.6251	0.054783
15	-0.004658	-0.0355	0.485911
16	0.215577	1.6418	0.053023
17	-0.119529	-0.9103	0.183215
18	-0.018822	-0.1433	0.443256
19	0.032701	0.249	0.402105
20	0.098723	0.7519	0.22759
21	-0.100812	-0.7678	0.222871
22	-0.080915	-0.6162	0.270078
23	-0.046701	-0.3557	0.361692
24	0.208425	1.5873	0.058939
25	0.064642	0.4923	0.312183
26	-0.2625	-1.9991	0.025143
27	0.000741	0.0056	0.497759
28	0.22305	1.6987	0.047367
29	-0.126254	-0.9615	0.17014
30	-0.053904	-0.4105	0.341468
31	0.174543	1.3293	0.094481
32	-0.104083	-0.7927	0.2156
33	-0.02956	-0.2251	0.411338
34	0.046196	0.3518	0.363124
35	-0.134916	-1.0275	0.154228
36	0.156354	1.1908	0.1193

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.322076	-2.4529	0.0086
2	-0.439667	-3.3484	0.000716
3	-0.173584	-1.322	0.095683
4	-0.04445	-0.3385	0.368097
5	-0.071163	-0.542	0.29496
6	0.18719	1.4256	0.079673
7	-0.245402	-1.8689	0.033343
8	0.250656	1.9089	0.030611
9	-0.03393	-0.2584	0.398505
10	-0.217436	-1.6559	0.051567
11	-0.407219	-3.1013	0.001487
12	0.13399	1.0204	0.155879
13	0.213408	1.6253	0.054764
14	-0.034372	-0.2618	0.397212
15	-0.062954	-0.4794	0.316712
16	0.02957	0.2252	0.411307
17	-0.052664	-0.4011	0.344918
18	-0.157112	-1.1965	0.118179
19	0.142499	1.0852	0.141153
20	-0.011607	-0.0884	0.464934
21	-0.114832	-0.8745	0.192717
22	-0.008722	-0.0664	0.473634
23	0.062466	0.4757	0.318027
24	-0.168826	-1.2857	0.101822
25	0.049228	0.3749	0.354548
26	0.025565	0.1947	0.423155
27	-0.02898	-0.2207	0.413049
28	-0.056529	-0.4305	0.33421
29	0.066521	0.5066	0.307175
30	0.030539	0.2326	0.408455
31	0.013717	0.1045	0.458579
32	-0.082658	-0.6295	0.265744
33	-0.045403	-0.3458	0.365379
34	0.076604	0.5834	0.280944
35	-0.142109	-1.0823	0.141806
36	0.04846	0.3691	0.356714

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260796399uerzff4tvnwaw0l/11bzk1260796037.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260796399uerzff4tvnwaw0l/11bzk1260796037.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260796399uerzff4tvnwaw0l/2t96o1260796037.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260796399uerzff4tvnwaw0l/2t96o1260796037.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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